Rating frailty, Bayesian updates, and portfolio credit risk analysis*

DOI10.1080/14697688.2021.2013519zbMath1491.91155OpenAlexW4206184412MaRDI QIDQ5079370

Shang Bu, Nan Guo, Lingfei Li

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2013519

zbMATH Keywords

surveillancefrailtycredit ratingportfolio credit risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty

Uses Software

• invGauss
• bshazard

Cites Work

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• Slice sampling. (With discussions and rejoinder)
• A Bayesian approach to modeling mortgage default and prepayment
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Risk Analysis of Collateralized Debt Obligations
• Adaptive Rejection Sampling for Gibbs Sampling
• Bayes Factors

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